Lestrade delivers much of the humor, usually as a Deadpan Snarker. If he's in the scene, you can generally count on a sarcastic comment sooner or later.
"Actually, it wasn't as bad as... wait, what? God help me – should I even bother telling this story or are you simply going to deduce the rest of the journey from my shirt cuffs?"
Despite being the Distressed Dude, Holmes has his moments, as well.
"Since you were not blessed with wings... north or south?"
Lestrade: "You talk as if I had some kind of choice in the matter, Mr Holmes. The first I even knew that Mary was following me was on the boat from Newhaven. Came up beside me while I was hanging over the rail and offered me a ginger pill, as calm and unruffled as you please."
Lestrade: "Ha! Seriously, Martha, we still have to get past the police. Do you really think this is going to work?"
Mary: "Safety in numbers, dear brother, I do believe it will. Mrs Peabody's 'personality' should prove sufficient cover." Or if need be, a battering ram. "Shall we?"
Lestrade: "Absolutely, my dear Martha. By all means, introduce me to our charming new friends!"
Mary: "Bite your tongue, George..."
Lestrade: "And why is the driver now beaming at our good benefactress? I thought he was going to hit her with his whip a little while ago!"
Mary: "Well, I may have slightly exaggerated to her the fee that the driver told me. I think it might be the largest tip Franz has ever received. Why do you think the two of us are riding free of charge?"
Lestrade: "I didn't know we were – does she?"
Mary: "Least said is soonest mended, dear brother…" Moriarty may have to concede his title of criminal mastermind.